{"id":85053,"date":"2018-03-10T00:09:29","date_gmt":"2018-03-10T00:09:29","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/modelos-estocasticos-de-valoracion-de-futuros-y-opciones-sobre-riesgos-catastroficos\/"},"modified":"2018-03-10T00:09:29","modified_gmt":"2018-03-10T00:09:29","slug":"modelos-estocasticos-de-valoracion-de-futuros-y-opciones-sobre-riesgos-catastroficos","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/ciencias-economicas\/modelos-estocasticos-de-valoracion-de-futuros-y-opciones-sobre-riesgos-catastroficos\/","title":{"rendered":"Modelos estocasticos de valoraci\u00f3n de futuros y opciones sobre riesgos catastroficos"},"content":{"rendered":"<h2>Tesis doctoral de <strong> M. Jose P\u00e9rez Fructuoso <\/strong><\/h2>\n<p>Esta tesis,versa sobre los contratos de activos derivados sobre riesgos catastr\u00f3ficos, cuyo subyacente es un ratio de siniestralidad aleatoria ya que su numerador recoge las p\u00e9rdidas originadas por la ocurrencia de cat\u00e1strofes a lo largo de un periodo determinado. Es, por tanto, el objetivo del trabajo determinar el comportamiento de esta ratio de siniestralidad a fin de realizar c\u00e1lculos del precio de los activos derivados en cualquier momento de su periodo de negociaci\u00f3n. Para determinar este comportamiento, se desarrollan modelos matem\u00e1ticos, dirigidos a cuantificar la suma total de las p\u00e9rdidas catastr\u00f3ficas al final de un periodo determinado. La caracter\u00edstica distintiva principal de estos modelos es la consideraci\u00f3n de una nueva variable: cuant\u00eda de siniestros pendiente de declarar, decreciente de forma proporcional a si misma a raz\u00f3n de una tasa denominada tasa de declaraci\u00f3n de siniestro. Los modelos se desarrollan en tiempos continuo y discreto utilizando, en ambos casos, un enfoque determinista y aleatorio. Asi mismo se contrasta la validez de los modelos propuestos realizando estimaciones sobre algunos de los par\u00e1metros que aparecen en dichos modelos y ajustando distribuciones de probabilidad a las variables aleatorias en ellos definidas.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Modelos estocasticos de valoraci\u00f3n de futuros y opciones sobre riesgos catastroficos<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Modelos estocasticos de valoraci\u00f3n de futuros y opciones sobre riesgos catastroficos <\/li>\n<li><strong>Autor:<\/strong>\u00a0 M. Jose P\u00e9rez Fructuoso <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Barcelona<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 16\/06\/2000<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Antonio Alegre Escolano<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: albert Biayna mulet <\/li>\n<li>alejandro Balbas de la corte (vocal)<\/li>\n<li>carles Bonet rev\u00e9s (vocal)<\/li>\n<li>fredy Delbaen (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de M. Jose P\u00e9rez Fructuoso Esta tesis,versa sobre los contratos de activos derivados sobre riesgos catastr\u00f3ficos, cuyo subyacente [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[951,82,126,1475,4677],"tags":[56993,3391,20268,179309,179310,179308],"class_list":["post-85053","post","type-post","status-publish","format-standard","hentry","category-barcelona","category-ciencias-economicas","category-matematicas","category-probabilidad","category-sector-de-finanzas-y-seguros","tag-albert-biayna-mulet","tag-alejandro-balbas-de-la-corte","tag-antonio-alegre-escolano","tag-carles-bonet-reves","tag-fredy-delbaen","tag-m-jose-perez-fructuoso"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/85053","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/comments?post=85053"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/85053\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=85053"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=85053"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=85053"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}